scientific article; zbMATH DE number 1098821

zbMATH Open0884.62128MaRDI QIDQ4368993FDOQ4368993

Authors F. Jay Breidt, Alicia L. Carriquiry

Publication date 28 January 1998

zbMATH Keywords

transformationsexcess kurtosisquasi-maximum likelihoodinliers

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(7)

• Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation
• Analytical quasi maximum likelihood inference in multivariate volatility models
• Quasi-maximum likelihood estimation for multiple volatility shifts
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Testing for a slowly changing level with special reference to stochastic volatility
• Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand
• Estimation and asymptotic covariance matrix for stochastic volatility models

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